Fatal Python error in debug mode: Py_Initialize()
Ok, I solved it! The main problem is compatibility Python's precompiled limbrary, which is provided from SVN and local Python which we have on machine. In my case it's main points a compiling Blender:

1) Follow this instruction. https://wiki.blender.org/index.php/Dev:Doc/Building_Blender/Windows/msvc/CMake

2) Disable firewall.

3) Start ANY application (especially *.bat) from instruction with admin privilege.

4) I use Cmake manual setup and placed build folder(BlenderBuild) separately to source folder, disable any stuff except Python, and set INSTALL folder manually in "..BlenderBuild\bin" folder.

5) Make sure which Python version was provided in INSTALL path and install the corresponding version on your computer. If you had Python before you may have a problem with system variables. In my case i delete old 2.7 version and clear Python's path in "Path" variables, install 3.5.2150 version. That's it. No PYTHONPATH and etc.. Restart computer.

6) Open Blender.sln in MSVC2013 and built whole solution, then built only INSTALL (I had problems here before). Set blender project as start up, and start debug (here was too). Everything should be OK!)